Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0172
Annualized Std Dev 0.3040
Annualized Sharpe (Rf=0%) 0.0567

Row

Daily Return Statistics

Close
Observations 3466.0000
NAs 1.0000
Minimum -0.1831
Quartile 1 -0.0073
Median 0.0010
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0092
Maximum 0.1721
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0009
Variance 0.0004
Stdev 0.0192
Skewness -0.5441
Kurtosis 10.9033

Downside Risk

Close
Semi Deviation 0.0142
Gain Deviation 0.0132
Loss Deviation 0.0159
Downside Deviation (MAR=210%) 0.0184
Downside Deviation (Rf=0%) 0.0141
Downside Deviation (0%) 0.0141
Maximum Drawdown 0.7925
Historical VaR (95%) -0.0285
Historical ES (95%) -0.0481
Modified VaR (95%) -0.0299
Modified ES (95%) -0.0607
From Trough To Depth Length To Trough Recovery
2007-12-27 2012-07-24 2020-12-21 -0.7925 3270 1153 2117
2021-01-25 2021-03-08 NA -0.2729 40 30 NA
2007-07-16 2007-08-16 2007-09-27 -0.1685 53 24 29
2007-11-09 2007-11-21 2007-12-26 -0.1300 32 9 23
2021-01-08 2021-01-15 2021-01-21 -0.0580 9 6 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA -0.4 -2 0.9 1.2 0.2 1.5 -2.2 -0.8
2008 0.7 -4.3 2.4 -0.4 3 -1.9 -1 -0.8 -0.4 2.5 -9.7 3.1 -7.4
2009 -0.1 0.1 4.1 1.5 1.1 2 0.1 -3.5 -4 -3.7 3.2 -0.2 0.1
2010 1.9 0.5 1.1 -1.7 -2.1 0.8 -1.1 3.6 -0.1 -1.1 2.3 0.3 4.3
2011 2 -1.6 0.1 1.8 -3.3 1.1 -0.7 -2.4 -3.3 -3.8 -1.2 0.4 -10.6
2012 3.1 -0.2 0.6 0.8 -3.1 4.1 -1.3 0.8 0.2 0.9 0.2 1.9 8.2
2013 1 -0.3 -1.2 -1.5 -2.1 1.4 0.4 -0.4 1.7 -0.5 0.2 0 -1.3
2014 -0.8 0.2 1.7 0 -0.1 0.4 -0.4 0.3 -1.6 1.5 -2.6 0 -1.4
2015 -1.6 0 0.7 1 -0.4 0.5 -0.5 -2.9 -0.1 -1 1.5 0 -2.8
2016 -0.1 1.4 -0.4 -0.2 1.3 -0.3 0.3 0.2 -0.4 -1.1 -1.1 0 -0.6
2017 0.4 0.4 0.7 0.4 0.7 0.7 0 0 -0.5 0.1 -0.3 0.7 3.3
2018 -0.3 -1 1.1 -0.7 -0.6 0.8 0.7 0.3 -0.7 2.2 2.4 1.6 5.9
2019 -0.2 0 1.2 -0.4 -0.7 0.8 -0.2 0.2 -1.1 1 -0.5 0.4 0.3
2020 -1.4 -1.2 -4.2 -3.7 2.5 0.6 -0.5 1.1 2.3 -1 -0.5 -0.5 -6.4
2021 2.4 3.9 1.5 NA NA NA NA NA NA NA NA NA 8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart